Table of contents
Revisiting the numerical solution of stochastic differential equations
Stan Hurn, Kenneth A. Lindsay, Lina XuThe purpose of this paper is to revisit the numerical solutions of stochastic differential equations (SDEs). An important drawback when integrating SDEs numerically is the number…
Long memory or structural break? Empirical evidences from index volatility in stock market
Yi Luo, Yirong HuangThe purpose of this paper is to explore whether stock index volatility series exhibit real long memory.
The economic value of using CAW-type models to forecast covariance matrix
Shuran Zhao, Jinchen Li, Yaping Jiang, Peimin RenThe purpose of this paper is twofold: to improve the traditional conditional autoregressive Wishart (CAW) and heterogeneous autoregressive (HAR)-CAW model to account for…
US and Chinese yield curve responses to RMB exchange rate policy shocks: An analysis with the arbitrage-free Nelson-Siegel term structure model
Zhiwu Hong, Linlin Niu, Gengming ZengUsing a discrete-time version of the arbitrage-free Nelson–Siegel (AFNS) term structure model, the authors examine how yield curves in the US and China react to exchange rate…
A penalized expected risk criterion for portfolio selection
Ronghua Luo, Yi Liu, Wei LanUnder the classical mean-variance framework, the purpose of this paper is to investigate the properties of the instability of minimal variance portfolio and then propose a novel…
Stock return predictability when growth and accrual measures are negatively correlated
Miao Luo, Tao Chen, Jun CaiFor most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form…
ISSN:
2044-1398Online date, start – end:
2011Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditors:
- Professor Chongfeng Wu
- Professor Haitao Li